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Über dieses Buch

This book deals with Enterprise Risk Management (ERM) and, in particular, Quantitative Risk Management (QRM) in life insurance business. Constituting a “bridge” between traditional actuarial mathematics and insurance risk management processes, its purpose is to provide advanced undergraduate and graduate students in the Actuarial Sciences, Finance and Economics with the basics of ERM (in general) and QRM applied to life insurance business. The main topics dealt with are: general issues on ERM, risk management tools for life insurance and life annuities, deterministic and stochastic analysis of the behaviour of a portfolio fund, application of sensitivity testing to assess ranges of results of interest, stress testing to assess the impact of extreme scenarios, and the product development process for life annuity products.

Inhaltsverzeichnis

Frontmatter

Chapter 1. Introduction

Abstract
Risk Management (RM) constitutes a very recent achievement for the actuarial culture and profession, especially if compared to the long history of actuarial mathematics. Why so recent? An appropriate answer calls for some remarks about traditional features of the actuarial sciences.
Ermanno Pitacco

Chapter 2. Enterprise Risk Management (ERM) and Quantitative Risk Management (QRM)

Abstract
A number of definitions of Enterprise Risk Management (ERM) have been proposed. We recall some of them, cited in the report IAA (2009).
Ermanno Pitacco

Chapter 3. The Risk Management (RM) Process

Abstract
Given the introductory aims of this chapter, concepts and examples are referred, in some cases, to insurance business, in other cases to non-insurance activities. Conversely, Chaps. 49 will specifically refer to life insurance and life annuity business.
Ermanno Pitacco

Chapter 4. RM for Life Insurance and Life Annuities

Abstract
In the risk identification phase of the RM process, we have to single out risk causes and risk components and, looking at impact on results of interest, risk factors.
Ermanno Pitacco

Chapter 5. Product Design: Guarantees and Options

Abstract
The following Chaps. 68 focus on two phases of the RM process, that is, on risk assessment and impact assessment. Numerical results basically consist of the output of different modeling approaches and assumptions on the scenarios. These results may be delivered by an actuary to the risk managers who will use them for an appropriate choice of RM actions.
Ermanno Pitacco

Chapter 6. Risk Assessment and Impact Assessment in Life Insurance Business

Abstract
In this section , we define all the quantities needed to construct a specific model, in the framework presented in Sect. 4.​4.​3. We then illustrate various implementations of the model, aiming at impact assessment.
Ermanno Pitacco

Chapter 7. Risk Assessment and Impact Assessment in Life Annuity Business

Abstract
Following the  structure adopted in Sect. 6.​1, we define all the quantities needed to construct a specific model for a life annuity portfolio, in the framework proposed in Sect. 4.​4.​3. We then illustrate various implementations of the model, aiming at impact assessment.
Ermanno Pitacco

Chapter 8. Sensitivity Testing for Long-Term Care Insurance Products

Abstract
Long-term care insurance (LTCI) covers (see Sect. 5.​6) are rather recent products, in the framework of insurances of the person.
Ermanno Pitacco

Chapter 9. ERM and QRM in Product Development: An Example

Abstract
To provide a more  complete picture of ERM in the insurance field, encompassing all the phases of the RM process, we propose a simple case study: the development and the launch of special-rate life annuity products.
Ermanno Pitacco

Backmatter

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